New Order Single in the Indicative Quoting Model

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1

Imported from previous forum

2

Hi,

We are currently considering how best to handle New Order Single in the Indicative quoting model.

We are the Sellside, and according to the specification the message flow would look like this:

Buyside Sends: Quote Request (MsgType=R)
Sellside Sends: Quote (MsgType=S)
Buyside Sends: New Order Single (MsgType=D)
Sellside Sends: Execution Report (MsgType=8)

Naturally our Quote will contain many of the standard fields, eg,

MsgType=S
OrdQty=100000
SettlementDate=20040201
BidPx=100
etc…

We are wondering what conventions exist for the contents of the New Order Single that the Buyside will send back to us in response to the Quote.

eg, one could imagine a very minimalist new order message:

MsgType=D
ClOrdId=12345
TransactTime=20040131-12:00:00.000
Side=1
OrdType=D
Symbol=<symbol from quote>
117=<id from quote>

As far as I can see that’s everything that’s required in FIX 4.3.

Is this how people are typically implementing the Indicative Quoting Model? We an alternative:

1/ Accept a minimalist message as above. All other details are implict from the QuoteId (117)

2/ Accept a much richer message, where the New Order Single echoes back to us the details of the Quote, eg,

MsgType=D
ClOrdId=12345
TransactTime=20040131-12:00:00.000
Side=1
OrdType=D
Symbol=<symbol from quote>
117=<id from quote>
OrderQty=<Bid Size or Ask Size from Quote>
SettlementDate=<Settlement Date from Quote>
Account=<Account from Quote>
Currency=<Currency from Quote>
Price=<BidPx or AskPx from Quote>
… etc

Of course, one must then decide if one will support both styles, require that the New Order Single be fully populated or require that the New Order Single be minimalist.

The attraction of requiring the Minimalist format is it makes validation much easier: you don’t have to check the details submitted in the New Order Single actually match those you put out in the Quote.

This last point indicates why this is an issue: are people out there used to being able to populate the New Order Single message, or would you in fact see this as a burden vs. simply populating the QuoteId and being done?

Comments from anyone with experience with the Indicative Model would be appreciated

3

[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Andrew,

You’re probably plowing new ground here. We first tackled the fixed-role quote model in the 4.4 spec (with Fixed Income in mind) and introduced the new Quote Response message as the buyside’s “hit/lift”. As you suggest it is a minimalist message. So in that spirit you could propose a minimalist New Order in 4.3, and in your “Rules of Engagement” state that the details referenced through QuoteID(117) take precedence over any conflicting details on the New Order message.

> Hi,
>
> We are currently considering how best to handle New Order Single in the Indicative quoting model.
>
> We are the Sellside, and according to the specification the message flow would look like this:
>
> Buyside Sends: Quote Request (MsgType=R)
> Sellside Sends: Quote (MsgType=S)
> Buyside Sends: New Order Single (MsgType=D)
> Sellside Sends: Execution Report (MsgType=8)
>
> Naturally our Quote will contain many of the standard fields, eg,
>
> MsgType=S
> OrdQty=100000
> SettlementDate=20040201
> BidPx=100
> etc…
>
> We are wondering what conventions exist for the contents of the New Order Single that the Buyside will send back to us in response to the Quote.
>
> eg, one could imagine a very minimalist new order message:
>
> MsgType=D
> ClOrdId=12345
> TransactTime=20040131-12:00:00.000
> Side=1
> OrdType=D
> Symbol=<symbol from quote>
> 117=<id from quote>
>
> As far as I can see that’s everything that’s required in FIX 4.3.
>
> Is this how people are typically implementing the Indicative Quoting Model? We an alternative:
>
> 1/ Accept a minimalist message as above. All other details are implict from the QuoteId (117)
>
> 2/ Accept a much richer message, where the New Order Single echoes back to us the details of the Quote, eg,
>
> MsgType=D
> ClOrdId=12345
> TransactTime=20040131-12:00:00.000
> Side=1
> OrdType=D
> Symbol=<symbol from quote>
> 117=<id from quote>
> OrderQty=<Bid Size or Ask Size from Quote>
> SettlementDate=<Settlement Date from Quote>
> Account=<Account from Quote>
> Currency=<Currency from Quote>
> Price=<BidPx or AskPx from Quote>
> … etc
>
> Of course, one must then decide if one will support both styles, require that the New Order Single be fully populated or require that the New Order Single be minimalist.
>
> The attraction of requiring the Minimalist format is it makes validation much easier: you don’t have to check the details submitted in the New Order Single actually match those you put out in the Quote.
>
> This last point indicates why this is an issue: are people out there used to being able to populate the New Order Single message, or would you in fact see this as a burden vs. simply populating the QuoteId and being done?
>
> Comments from anyone with experience with the Indicative Model would be appreciated
>